Dynamic Hedging with Credit Default Swaps: Empirical Evidence from the European Monetary Union

This thesis investigates the effectiveness of time-varying hedging during the financial crisis of 2007 and the European Debt Crisis of 2010. In addition, the seven test economies are part of the European Monetary Union and these countries are in different economical states. Time-varying hedge ratio was constructed using conditional variances and correlations, which were created by using multivariate GARCH models. Here we have used three different underlying portfolios: national equity markets, government bond markets and the combination of these two. These underlying portfolios were hedged by using credit default swaps. Empirical part includes the in-sample and out-of-sample analysis, which are constructed by using constant and dynamic models. Moreover, almost in every case dynamic models outperform the constant ones in the determination of the hedge ratio. We could not find any statistically significant evidence to support the use of asymmetric dynamic conditional correlation model. In addition, our findings are in line with prior literature and support the use of time-varying hedge ratio. Finally, we found that in some cases credit default swaps are not suitable instruments for hedging and they act more as a speculative instrument.

Pectus excavatum: abordagem terapêutica

The pectus excavatum treatment has two different approaches: non-surgical techniques (modified dynamic thoracic compressor, exercises and the vacuum bell) or surgical techniques (silastic or solid silicone implant, open surgical repair like sternochondroplasty and minimally invasive repair). The introduction of Nuss procedure improved the pectus excavatum treatment, but its low acceptance was due to the high complication rate (e.g. cardiac perfuration). The thoracoscopy use for bar mediastinal passage reduced the complication rate. In comparison with sternochondroplasty, the Nuss procedure has smaller incision, less blood loss and less operative time. However, it has more reoperations, complications, longer hospital stay and more readmission rates, more time of thoracic epidural catheter for postoperative analgesia and more need for analgesic after being discharged. Although Nuss procedure has been used in children, patients under ten years must be only observed. The Nuss procedure is applicable to moderate or light symmetrical pectus excavatum, without costal protrusion, in young and adolescents patients. Furthermore, the sternochondroplasty is applicable to severe or asymmetric pectus excavatum, with or without inferior costal protrusion. Therefore, Nuss procedure and sternocondroplasty are not antagonistic procedures, and they must be used in accordance with a treatment organogram and the technique choice must be by functional and aesthetic outcome.

Development of racemization catalysts for dynamic kinetic resolution

Preparation of optically active compounds is of high importance in modern medicinal chemistry. Despite recent advances in the field of asymmetric synthesis, resolution of racemates still remains the most utilized way for preparation of single enantiomers in industrial scale due to its cost-efficiency and simplicity. Enzymatic kinetic resolution (KR) of racemates is a classical method for separation of enantiomers. One of its drawbacks is the limitation of target enantiomer yield to 50%. Dynamic Kinetic Resolution (DKR) allows to reach yields up to 100% by in situ racemization of the less reactive enantiomer. In the first part of this thesis, a number of half-sandwich ruthenium complexes were prepared and evaluated as catalysts for racemization of optically active secondary alcohols. A leading catalyst, Bn5CpRu(CO)2Cl, was identified. The catalyst discovered was extensively characterized by its application for DKR of a broad range of secondary alcohols in a wide range of reaction loadings (1 mmol – 1 mol). Cost-efficient chromatography-free procedure for preparation of this catalyst was developed. Further, detailed kinetic and mechanistic studies of the racemization reactions were performed. Comparison of racemization rates in the presence of Bn5CpRu(CO)2Cl and Ph5CpRu(CO)2Cl catalysts reveals that the performance of the catalytic system can be adjusted by matching of the electronic properties of the catalysts and the substrates. Moreover, dependence of the rate-limiting step from the electronic properties of the reagents was observed. Important conclusions about reaction mechanism were made. Finally, an alternative approach to DKR of amines based on space separated vessels was addressed. This procedure allows the combination of thermolabile enzyme with racemization catalysts active only at high temperatures.

Pienahitsien staattisen kestävyyden mitoitus perinteisesti ja eri reunaehtoihin perustuvilla parannetuilla mitoitusmalleilla

Tässä tutkimuksessa oli tavoitteena tarkastella analyyttisen laskennan keinoin pienahitsin mitoittamista ja selvittää käytännön kokeissa havaittu a-mitasta poikkeavan vauriotason sijainti poikittain kuormitetuissa pienahitseissä. Perinteinen laskentamallin tarkastelu laa-jennettiin koskemaan mielivaltaisessa kulmassa olevaa laskentatasoa ja suurimman yhdistetyn jännityksen perusteella löydettiin kriittisin leikkaus tasakylkisessä hitsissä. Lisäksi tarkasteltiin voimatasapainon huomioon ottamista mitoituksessa ja luotiin kaksi eri mallia tämän pohjalta. Kolme teoreettisesti oikeampaa mitoitusmallia täydennettiin kattamaan myös erikylkiset hitsit ja todettiin, että kaikilla mitoitusmalleilla erikylkiset hitsit ovat tilavuudeltaan optimaalisempia verrattaessa samanlujuisiin tasakylkisiin hitseihin.

Markkina- ja sääntelyhäiriöt taloudellisen tehottomuuden aiheuttajina

Tutkielmassa käsitellään markkina- ja sääntelyhäiriötä ja keskitytään selittämään, millä tavoin nämä häiriöt aiheuttavat taloudellista tehottomuutta. Lisäksi työssä osoitetaan markkina- ja sääntelyhäiriöiden välinen yhteys ja selitetään, kuinka markkina- ja sääntelyhäiriöiden ilmenemistä voitaisiin vähentää.

Eri MAG-hitsausprosessien ja -parametrien vaikutus suurlujuusteräksestä valmistetun otsapienahitsin äärikestävyyteen, muodonmuutoskykyyn ja vauriomuotoon

Työssä tutkittiin Ruukki Oyj:n suorasammutetusta S960QC-teräksestä valmistetun kuormaakantavan levyjen ristiliitoksen pienahitsien lujuutta, muodonmuutoskykyä ja vaurioitumismekanismia laajaan kokeelliseen aineistoon perustuen. Tärkeimpänä muuttujana koematriisissa olivat eri MAG-hitsausprosessit. Perinteisen kuumakaarihitsauksen vertailukohteena oli Kemppi Oy:n uusi adaptiivinen valokaaren pituutta säätävä WiseFusion-hitsaustoiminto kuuma- ja pulssikaarihitsauksessa. Näiden kolmen hitsausprosessin rinnalla varioitiin erisuuruisia a-mittoja, eri hitsauslisäaineita ja hitsin erikylkisyyttä. Lisäksi juuritunkeuman estämisen vaikutusta hitsien käyttäytymiseen tutkittiin täydentävällä koesarjalla, jossa tunkeuman muodostuminen estettiin levyjen väliin asetetulla volframilevyllä. Työn perimmäisenä tavoitteena oli selvittää syy aiemmassa tutkimuksessa havaitulle pienahitsien vaurioitumiselle leikkautumalla sularajaa pitkin. Sularajan suhteellista pituutta saadaan kasvatettua estämällä hitsin juuritunkeuma ja absoluuttista pituutta saadaan lisää kateettipoikkeaman avulla. Lisäksi tutkimuksessa oli tarkoitus tuoda esille suurlujuusteräksisen liitoksen eri mitoituslähtökohdat (mm. lämmöntuonnin kontrollointi). Tämän vuoksi hitsausparametrit mitattiin jännitteen ja virran hetkellisiin arvoihin perustuen, jolloin kuuma- ja pulssikaarihitsauksen laskennalliset hitsaustehot ovat vertailukelpoisia. Koehitseistä valmistettiin hieet hitsien tarkan geometrian määrittämiseksi ja liitoksen mekaaniset ominaisuudet tutkittiin vetokokeella. Tulosten perusteella sularajavaurio aktivoituu pulssikaarella hitsatuissa koekappaleissa. Tämä aiheutunee pulssi- ja kuumakaarihitsauksen sularajan mikrorakenteiden eroavaisuudesta. Sularajavaurio näyttää huonontavan hitsien muodonmuutoskykyä, mutta jatkokokeita tuloksen verifioimiseksi on tehtävä. S960QC-teräkselle ominaisen pehmenneen vyöhykkeen vaurio ei aktivoitunut, vaikka Ruukin antamat jäähtymisaikasuositukset ylitettiin reilusti.

Three-dimensional supersonic flow over a spike-nosed body of revolution

The unsteady, viscous, supersonic flow over a spike-nosed body of revolution is numerically investigated by solving the Navier-Stokes equations. The time-accurate computations are performed employing an implicit algorithm based on the second-order time-accurate LU-SGS scheme with the incorporation of a subiteration procedure to maintain time accuracy. The characteristics of the flow field for a Mach number of 3.0, Reynolds number of 7.87 x 10(6)/m, and angles of attack of 5 and 10 degrees are described. Self-sustained asymmetric shock wave oscillations were observed in the numerical computations for these angles of attack. The main characteristic of the flow field, as well as its influence on drag coefficient is discussed.

Universal Quantum Cloning

After introducing the no-cloning theorem and the most common forms of approximate quantum cloning, universal quantum cloning is considered in detail. The connections it has with universal NOT-gate, quantum cryptography and state estimation are presented and briefly discussed. The state estimation connection is used to show that the amount of extractable classical information and total Bloch vector length are conserved in universal quantum cloning. The 1  2 qubit cloner is also shown to obey a complementarity relation between local and nonlocal information. These are interpreted to be a consequence of the conservation of total information in cloning. Finally, the performance of the 1  M cloning network discovered by Bužek, Hillery and Knight is studied in the presence of decoherence using the Barenco et al. approach where random phase fluctuations are attached to 2-qubit gates. The expression for average fidelity is calculated for three cases and it is found to depend on the optimal fidelity and the average of the phase fluctuations in a specific way. It is conjectured to be the form of the average fidelity in the general case. While the cloning network is found to be rather robust, it is nevertheless argued that the scalability of the quantum network implementation is poor by studying the effect of decoherence during the preparation of the initial state of the cloning machine in the 1 ! 2 case and observing that the loss in average fidelity can be large. This affirms the result by Maruyama and Knight, who reached the same conclusion in a slightly different manner.

Kartongin käyristymiseen vaikuttavat tekijät ja niiden hallinta valmistusprosessissa

Työssä selvitettiin uuden kostutuslaitteen toimivuutta kartongin käyristymisen hallinnassa. Työn tavoitteena oli löytää kostutuslaitteelle energiatehokas ja käyttäjäystävällinen ajotapa. Lisäksi pyrittiin etsimään tärkeimmät kartongin käyristymiseen vaikuttavat prosessimuuttujat ja selvittämään voidaanko niitä hyödyntää käyryyden hallinnassa. Työssä tutkittiin myös kostutuslaitteen käytön vaikutuksia kartongin muihin tärkeisiin ominaisuuksiin, jotta saataisiin selville miten uusi tuote eroaisi referenssituotteesta. Kirjallisuusosassa selvitetään, mitkä tekijät vaikuttavat kartongin käyristymiseen ja miten käyristymistä pystytään hallitsemaan. Kirjallisuusosassa käsitellään myös, miten kartongin käyristymiseen tarvittavat epäsymmetriset mittamuutokset kartongin rakenteessa syntyvät lähtien kosteuden vaikutuksista aina yksittäisten kuitujen tasolta koko kartongin rakenteeseen asti. Kokeellisessa osassa selvitetään Inkeroisten Kartonkitehtaan kartonkikoneella ajettujen koeajojen avulla toimivaa ajotapaa kostutuslaitteelle ja eri prosessimuuttujien vaikutusta käyristymiseen. Koeajoissa tutkittiin epäsymmetrisen kostutuksen, kuivatuksen, sitoutuneisuuden, sekä kuituorientaation vaikutuksia kartongin käyristymiseen. Koeajojen perusteella merkittävimmiksi tekijöiksi kartongin käyristymiseen osoittautuivat epäsymmetrinen kostutus sekä kuivatus. Muiden tekijöiden vaikutus kartongin käyristymiseen jäi vähäiseksi tai liian epäselväksi, jotta olisi voitu osoittaa, että muutos kartongin käyryydessä johtuisi nimenomaan kyseisen tekijän muutoksesta. Verrattaessa uutta tuotetta referenssituotteeseen kartongin pinta- tai lujuusominaisuuksissa ei havaittu tapahtuvan merkittävää muutosta, kun selkäkerroksen pintaliimaus korvattiin sumukostutuksella.

Novel technology for preparation of optically active chemicals

Asymmetric synthesis using modified heterogeneous catalysts has gained lots of interest in the production of optically pure chemicals, such as pharmaceuticals, nutraceuticals, fragrances and agrochemicals. Heterogeneous modified catalysts capable of inducing high enantioselectivities are preferred in industrial scale due to their superior separation and handling properties. The topic has been intensively investigated both in industry and academia. The enantioselective hydrogenation of ethyl benzoylformate (EBF) to (R)-ethyl mandelate over (-)-cinchonidine (CD)-modified Pt/Al2O3 catalyst in a laboratory-scale semi-batch reactor was studied as a function of modifier concentration, reaction temperature, stirring rate and catalyst particle size. The main product was always (R)-ethyl mandelate while small amounts of (S)-ethyl mandelate were obtained as by product. The kinetic results showed higher enantioselectivity and lower initial rates approaching asymptotically to a constant value as the amount of modifier was increased. Additionally, catalyst deactivation due to presence of impurities in the feed was prominent in some cases; therefore activated carbon was used as a cleaning agent of the raw material to remove impurities prior to catalyst addition. Detailed characterizations methods (SEM, EDX, TPR, BET, chemisorption, particle size distribution) of the catalysts were carried out. Solvent effects were also studied in the semi-batch reactor. Solvents with dielectric constant (e) between 2 and 25 were applied. The enantiomeric excess (ee) increased with an increase of the dielectric coefficient up to a maximum followed by a nonlinear decrease. A kinetic model was proposed for the enantioselectivity dependence on the dielectric constant based on the Kirkwood treatment. The non-linear dependence of ee on (e) successfully described the variation of ee in different solvents. Systematic kinetic experiments were carried out in the semi-batch reactor. Toluene was used as a solvent. Based on these results, a kinetic model based on the assumption of different number of sites was developed. Density functional theory calculations were applied to study the energetics of the EBF adsorption on pure Pt(1 1 1). The hydrogenation rate constants were determined along with the adsorption parameters by non-linear regression analysis. A comparison between the model and the experimental data revealed a very good correspondence. Transient experiments in a fixed-bed reactor were also carried out in this work. The results demonstrated that continuous enantioselective hydrogenation of EBF in hexane/2-propanol 90/10 (v/v) is possible and that continuous feeding of (-)-cinchonidine is needed to maintain a high steady-state enantioselectivity. The catalyst showed a good stability and high enantioselectivity was achieved in the fixed-bed reactor. Chromatographic separation of (R)- and (S)-ethyl mandelate originating from the continuous reactor was investigated. A commercial column filled with a chiral resin was chosen as a perspective preparative-scale adsorbent. Since the adsorption equilibrium isotherms were linear within the entire investigated range of concentrations, they were determined by pulse experiments for the isomers present in a post-reaction mixture. Breakthrough curves were measured and described successfully by the dispersive plug flow model with a linear driving force approximation. The focus of this research project was the development of a new integrated production concept of optically active chemicals by combining heterogeneous catalysis and chromatographic separation technology. The proposed work is fundamental research in advanced process technology aiming to improve efficiency and enable clean and environmentally benign production of enantiomeric pure chemicals.

Infestation of weed species in monocrop coffee or intercropped with banana, under agroecological system

We aimed with this study to compare weed infestation in coffee under two different cropping managements: conventional coffee grown alone, or intercropped with banana plantation in a year-round basis (late spring, late summer, late fall and late winter). The experiment was installed in 2009 under field conditions at the Escola Municipal Rural Benedita Figueiró de Oliveira, in the city of Ivinhema in the state of Mato Grosso do Sul, Brazil. Assessments of weed occurrence were made three years after employment, on both cropping systems, and density, frequency, dominance and the importance value for each plant species in each system and season were quantified. Plant diversity within each system was estimated by Simpson and Shannon-Weiner indexes. Similarity between cropping systems were also assessed by the binary asymmetric similarity coefficient of Jaccard. Absolute infestation and spontaneous species differed between the two cropping systems in all seasons. Overall species diversity is higher in the monocrop compared with the intercrop, and it is associated in this study with the higher incidence of troublesome species. Areas were similar in terms of weed composition only in the Fall. Shading provided by the banana trees shows to be an efficient culture management aiming to suppress weeds in agro-ecological planting systems.

Scheduling dynamic dataflow graphs with model checking

With the shift towards many-core computer architectures, dataflow programming has been proposed as one potential solution for producing software that scales to a varying number of processor cores. Programming for parallel architectures is considered difficult as the current popular programming languages are inherently sequential and introducing parallelism is typically up to the programmer. Dataflow, however, is inherently parallel, describing an application as a directed graph, where nodes represent calculations and edges represent a data dependency in form of a queue. These queues are the only allowed communication between the nodes, making the dependencies between the nodes explicit and thereby also the parallelism. Once a node have the su cient inputs available, the node can, independently of any other node, perform calculations, consume inputs, and produce outputs. Data ow models have existed for several decades and have become popular for describing signal processing applications as the graph representation is a very natural representation within this eld. Digital lters are typically described with boxes and arrows also in textbooks. Data ow is also becoming more interesting in other domains, and in principle, any application working on an information stream ts the dataflow paradigm. Such applications are, among others, network protocols, cryptography, and multimedia applications. As an example, the MPEG group standardized a dataflow language called RVC-CAL to be use within reconfigurable video coding. Describing a video coder as a data ow network instead of with conventional programming languages, makes the coder more readable as it describes how the video dataflows through the different coding tools. While dataflow provides an intuitive representation for many applications, it also introduces some new problems that need to be solved in order for data ow to be more widely used. The explicit parallelism of a dataflow program is descriptive and enables an improved utilization of available processing units, however, the independent nodes also implies that some kind of scheduling is required. The need for efficient scheduling becomes even more evident when the number of nodes is larger than the number of processing units and several nodes are running concurrently on one processor core. There exist several data ow models of computation, with different trade-offs between expressiveness and analyzability. These vary from rather restricted but statically schedulable, with minimal scheduling overhead, to dynamic where each ring requires a ring rule to evaluated. The model used in this work, namely RVC-CAL, is a very expressive language, and in the general case it requires dynamic scheduling, however, the strong encapsulation of dataflow nodes enables analysis and the scheduling overhead can be reduced by using quasi-static, or piecewise static, scheduling techniques. The scheduling problem is concerned with nding the few scheduling decisions that must be run-time, while most decisions are pre-calculated. The result is then an, as small as possible, set of static schedules that are dynamically scheduled. To identify these dynamic decisions and to find the concrete schedules, this thesis shows how quasi-static scheduling can be represented as a model checking problem. This involves identifying the relevant information to generate a minimal but complete model to be used for model checking. The model must describe everything that may affect scheduling of the application while omitting everything else in order to avoid state space explosion. This kind of simplification is necessary to make the state space analysis feasible. For the model checker to nd the actual schedules, a set of scheduling strategies are de ned which are able to produce quasi-static schedulers for a wide range of applications. The results of this work show that actor composition with quasi-static scheduling can be used to transform data ow programs to t many different computer architecture with different type and number of cores. This in turn, enables dataflow to provide a more platform independent representation as one application can be fitted to a specific processor architecture without changing the actual program representation. Instead, the program representation is in the context of design space exploration optimized by the development tools to fit the target platform. This work focuses on representing the dataflow scheduling problem as a model checking problem and is implemented as part of a compiler infrastructure. The thesis also presents experimental results as evidence of the usefulness of the approach.

Intrapopulational chromosome number variation in Zephyranthes sylvatica Baker (Amaryllidaceae: Hippeastreae) from Northeast Brazil

Zephyranthes Herb. is a taxonomically complex and cytologically variable group, with about 65 species of Neotropical distribution. Chromosome number variability in 32 individuals of a Zephyranthes sylvatica population from Northeast Brazil was investigated. Three cytotypes were found: 2n = 12 (one metacentric, four submetacentric and one acrocentric pairs), in 24 individuals; 2n = 12 + 1B, in five and three individuals with 2n = 18, a triploid cytotype. All diploid individuals showed chromosomes with polymorphism in pair one and two, while in triploids this polymorphism was observed in all chromosome triplets, generally with two homomorphic chromosomes and a higher or lower heteromorphic chromosome. All individuals had reticulated interfasic nucleus and a slightly asymmetric chromosome complement, with one metacentric chromosome pair and the others more submetacentric to acrocentric. These data confirm the cytological variability previously registered for the genus. Mechanisms involved in karyotypic evolution in this population are discussed.

The polytene chromosomes of the mosquito Anopheles bellator compared with those of Anopheles cruzii

A photographic map was made of polytene chromosomes of ovarian nurse cells of Anopheles bellator females. The chromosomes of this species have complete or partial homology with those of A. cruzii, mainly in the telomeric and centromeric regions. Variability at the single band level was observed as asymmetric bands at seven different positions. One inversion (3Ra) was detected in the 3R arm.

Studies on the intrinsic nervous system of the wild rodent Calomys callosus digestive tract. II: The submucous plexus

The submucous plexus of the normal small and large intestine of Calomys callosus was studied by NADH and AChE histochemical techniques and by transmission and scanning electron microscopy. The plexus contains (mean ± SD) 7,488 ± 293 neurons/cm2 in the duodenum, 5,611 ± 836 in the jejunum, 2,741 ± 360 in the ileum, 3,067 ± 179 in the cecum, and 3,817 ± 256 in the proximal colon. No ganglia or nerve cell bodies were seen in the esophagus, stomach, distal colon or rectum. The neurons are pear-shaped with a round or oval nucleus and the neuronal cell profile areas were larger in the large intestine than in the small intestine. Most of the neurons display intense AChE activity in the cytoplasm. AChE-positive nerve fibers are present in a primary meshwork of large nerve bundles and in a secondary meshwork of finer nerve bundles. At the ultrastructural level, the ganglia are irregular in shape and covered with fibroblast-like cells. The nucleoplasm of the neurons is finely granular with a few condensations of chromatin attached to the nuclear envelope. In the neuropil numerous varicosities filled with vesicles of different size and electron densities are seen. The pre- and post-synaptic membrane thickenings are asymmetric. Characteristic glial cells with oval nuclei and few organelles are numerous. These data provide a detailed description of this submucosal meshwork.